Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0202 |
| Annualized Std Dev | 0.2332 |
| Annualized Sharpe (Rf=0%) | -0.0867 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4503.0000 |
| NAs | 1.0000 |
| Minimum | -0.2365 |
| Quartile 1 | -0.0047 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0056 |
| Maximum | 0.2065 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0147 |
| Skewness | -0.7584 |
| Kurtosis | 48.9587 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0109 |
| Gain Deviation | 0.0112 |
| Loss Deviation | 0.0135 |
| Downside Deviation (MAR=210%) | 0.0151 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.7263 |
| Historical VaR (95%) | -0.0176 |
| Historical ES (95%) | -0.0347 |
| Modified VaR (95%) | -0.0126 |
| Modified ES (95%) | -0.0126 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-12 | 2008-12-15 | NA | -0.7263 | 3552 | 466 | NA |
| 2004-01-13 | 2004-05-10 | 2006-09-22 | -0.1823 | 680 | 82 | 598 |
| 2003-05-29 | 2003-08-18 | 2003-11-03 | -0.1134 | 111 | 57 | 54 |
| 2006-09-25 | 2006-11-13 | 2006-11-29 | -0.0442 | 47 | 36 | 11 |
| 2006-12-22 | 2007-01-12 | 2007-02-05 | -0.0418 | 28 | 13 | 15 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | 0.2 | -0.4 | 0 | 0.9 | 1.2 | 1.6 | 0.1 | 1.1 | -0.4 | 4.2 |
| 2004 | 0.6 | 1.1 | -0.4 | -1.6 | 0.6 | 0.6 | 0.2 | 1 | 1.3 | 1.3 | 1.1 | -0.2 | 5.7 |
| 2005 | 1.1 | 0 | -0.4 | -0.4 | 0.4 | 1.5 | 0 | 1.2 | 0.2 | 0 | -0.4 | 0.4 | 3.8 |
| 2006 | 0.5 | 0.5 | -0.5 | 0.6 | 1.1 | -0.2 | 0.4 | 0.5 | 0.2 | -0.2 | 0.5 | 0.6 | 4.1 |
| 2007 | 0.3 | -0.3 | 0.2 | -0.1 | 0.5 | 0.3 | -3.6 | 1.5 | 0.8 | -0.5 | 2.6 | 2.5 | 4.1 |
| 2008 | 1.5 | -1.7 | 2.1 | -0.2 | 0 | -0.4 | 1.1 | 0.3 | -1.1 | 5.8 | -7.7 | 7.7 | 6.7 |
| 2009 | -2.4 | -5.3 | 2.6 | 7.9 | 2.8 | 1 | 0.7 | -1.7 | -0.9 | -3.1 | 1.2 | -0.1 | 2 |
| 2010 | 1.2 | 0.6 | 0.1 | -0.2 | -0.4 | -1.7 | -0.1 | 0.7 | 0.9 | 0.1 | 0.3 | 0.2 | 1.7 |
| 2011 | 1.1 | 0 | 1.4 | 0.2 | -0.9 | 1.1 | 0.6 | -0.7 | -1.7 | -2 | -0.9 | -0.3 | -2.3 |
| 2012 | 0.9 | 1 | 0.9 | 0.3 | -3 | 0.3 | 0.9 | 0.6 | 0.5 | 0.2 | -0.2 | 1.4 | 3.8 |
| 2013 | -0.2 | -0.6 | -0.7 | -0.1 | -2 | 0.7 | 0.7 | 0.3 | 0.3 | -0.2 | 0.7 | -0.1 | -1.2 |
| 2014 | -0.3 | 0.1 | 0.6 | 0.8 | 0.6 | 0.2 | 0.1 | 0.2 | -0.5 | 0.1 | -1.6 | 1 | 1.4 |
| 2015 | -1.1 | 0 | -0.9 | 0.5 | 0.2 | 1.1 | 0.3 | -1 | -0.8 | 0.4 | 1.5 | -0.3 | -0.2 |
| 2016 | 0.7 | 1.8 | 0.2 | -0.6 | 0.5 | 0.5 | -0.2 | 0.1 | 0.2 | -0.8 | -1 | -0.1 | 1.3 |
| 2017 | 1.4 | 0.6 | 1 | 1.2 | 0.1 | -0.2 | -0.3 | 0.4 | 0.4 | -0.1 | 0.1 | 0.4 | 5.2 |
| 2018 | -0.8 | -1.2 | 0.5 | -0.1 | 1.2 | 0.9 | 0 | 0.2 | 1 | 2.4 | 0.6 | 0 | 4.5 |
| 2019 | 0.6 | 0.3 | 1 | 0.8 | -1.3 | -0.7 | -0.6 | 0 | -0.5 | 0 | 0.7 | 0.8 | 1.1 |
| 2020 | -0.5 | 1.6 | -6.3 | -2.3 | 1.3 | 0.2 | -0.6 | 0.2 | 1.1 | -1.4 | -0.6 | 0 | -7.3 |
| 2021 | 1.6 | 2 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
